Stochastic solution of space-time fractional diffusion equations. 2002

Mark M Meerschaert, and David A Benson, and Hans-Peter Scheffler, and Boris Baeumer
Department of Mathematics, University of Nevada, Reno, Nevada 89557-0084, USA. mcubed@unr.edu

Classical and anomalous diffusion equations employ integer derivatives, fractional derivatives, and other pseudodifferential operators in space. In this paper we show that replacing the integer time derivative by a fractional derivative subordinates the original stochastic solution to an inverse stable subordinator process whose probability distributions are Mittag-Leffler type. This leads to explicit solutions for space-time fractional diffusion equations with multiscaling space-fractional derivatives, and additional insight into the meaning of these equations.

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